2. 您的位置
3. 首页
4. 会议论文
5. Sparse Cointegrating Market-Neutral Portfolio

Sparse Cointegrating Market-Neutral Portfolio

来源 :上海交通大学 | 被引量 : 0次 | 上传用户：liuxpeter

【摘 要】

：

Cointegration is one of the most important topics in economic and finance in the last decade,because it does not only study the long-run equilibrium among two or more economic time series but also for

【作 者】

：

Renjie Lu Philip L.H.Yu 

【机 构】

：

Department of Statistics and Actuarial Science,The University of Hong Kong,China

【出 处】

：

上海交通大学

【发表日期】

：

2016年4期

【关键词】

：

adaptive lasso cointegration market-neutral portfolios 

下载到本地 , 更方便阅读

下载此文 赞助VIP

声明 : 本文档内容版权归属内容提供方 , 如果您对本文有版权争议 , 可与客服联系进行内容授权或下架

论文部分内容阅读

　　Cointegration is one of the most important topics in economic and finance in the last decade,because it does not only study the long-run equilibrium among two or more economic time series but also form stationary portfolios based on the cointegrating vectors from a set of financial assets.

其他文献

STATISTICAL MODELS FOR THUNDERSTORM OCCURRENCES

During a period of 20 years,data concerning the thunderstorm activities in regions of France were collected.

会议

thnunderstormstochastic processesmaximum likelihoodBayesian estimation

The variational principles for a class of stochastic dissipative equations with advected quantities

Some stochastic symmetry reduction for stochastic Lagrangian systems with advected quantities whose configuration space is a topological group is presented.

会议

stochastic variational principleadvected quantitiesstochastic Navier-Stokes eq

ANALYSIS OF MULTI-OMICS DATA FOR IDENTIFYING MUTI-MARKERS:APPLICATION TO PANCREATIC CANCER

Identification of multi-markers is one of most challenging tasks in personalized medicine Although many studies have been developed for identifying biomarkers aiming to early diagnosis and prognosis o

会议

pancreatic cancerintegration analysisgeneralized structured component analysis

Multiple Change-point Detection

Very long and noisy sequence data arise from biological sciences to social science including high throughput data in genomics and stock prices in econometrics.

会议

Binary segmentationConsistencyMultiple testingScreening and ranking algorithm

Robust and Efficient Bayesian FDR Control in Integrative Analysis of Genomic Data

With the advancement of high-throughput experimental technologies,false discovery rate(FDR)control has become a standard statistical practice in many genomic and genetic applications.

会议

False discovery rateBayesianHierarchical modelBayes factorEmpirical Bayes

A Joint Modeling Approach for Treatment Response and Baseline Imaging data

There have been a lot of interests in using neuroimaging approaches to help guide clinicians in selecting treatment for patients of major depressive disorders and understand placebo response.

会议

Dimension reductionJoint modellingPlacebo and treatment responsesHigh-Dimensi

Current Status Data in the Presence of a Terminal Event

We consider nonparametric estimation of current status data in the presence of a terminal event.This type of data often arises in biomedical studies,where the subject is scheduled to be examined for t

会议

Composite endpointinterval censoringnonparametric maximum likelihoodsemicompe

A Wavelet-based Test for Serial Correlation

A new test for serial correlation is proposed based on the quantity called wavelet variance.With the advantage of not needing to test a series of lags,the proposed test uses the wavelet variance vecto

会议

Portmanteau testsIndependenceWhite NoiseWavelet VarianceGMWM

Conditional Quantile Regression Tree with Rank Score Statistics

Regression Trees have been widely used as a powerful and flexible statistical learning tool when one has a large number of covariates.

会议

Conditional quantile regressionTree

Zero-inflated Quantile Regression and It's Application in NOMAS

The Northern Manhattan Study(NOMAS)is a population-based study designed to evaluate the impact of medical,socio-economic,and other risk factors on the incidence of vascular disease in a multi-ethnic,s

会议

Quantile regressionZero-inflated outcomesConstrained smoothing